Stochastic Calculus for Finance

DOI10.1017/CBO9781139017367zbMath1255.91001OpenAlexW577343477MaRDI QIDQ4647609

Janusz Traple, Capiński, Marek, Ekkehard Kopp

Publication date: 6 November 2012

Full work available at URL: https://doi.org/10.1017/cbo9781139017367

zbMATH Keywords

Wiener processstochastic differential equationsItô formulastochastic integralsdiscrete-time processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Foundations of stochastic processes (60G05)

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